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We provide a clean out-of-sample test of momentum effects by focusing on a new sample period and a new set of test assets. More specifically, we examine market states and momentum in sector exchange-traded funds (ETFs) in the post-2000 period. Our results suggest that there is no momentum in...
Volatility is the most widely used measure of risk but its relevance is questionable in many settings. For long-term investors, short-term volatility is a nuisance they just have to live with and disregard as much as possible. Tail risks, however, are critical because, although rare by...
In this article, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise...
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